Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?

In applied econometric literature, the causal inferences are often made based on temporally
aggregated or systematically sampled data. A number of studies document that temporal aggregation
has distorting effects on causal inference and systematic sampling of stationary variables preserves the direction of causality. Contrary to the stationary case, this paper shows for the bivariate VAR(1) system that systematic sampling induces spurious bi-directional Granger causality among the variables if the uni-directional causality runs from a non-stationary series to either a stationary or a non-stationary series. An empirical exercise illustrates the relative usefulness of the results further.